Detrended fluctuation analysis (DFA) is fit for studies on the long-range exponential correlations of non-stationary time serial. In this paper, for elucidating the characteristics of different sleep stages, DFA is adopted to analyze the physiological data collected during sleep. The parameters such as electroencephalogram (EEG), R-R interval sequence and stroke volume (SV) are analyzed, and the scaling exponent a is calculated. The experimental results reveal that the values of a differ much in different sleep stages,that the rules of EEG and SV are alike, that alpha increases with the deepening of sleep, but in inverse for R-R interval sequence that alpha decreases with the deepening of sleep. These indicate that the method of DFA is practical in the analysis of physiological parameters.